Hedge_BTC/ETH Demo

Penulis:Mimpi kecil, Tarikh: 2017-07-24 17:40:08
Tag:Hedge

DEMO Ujian Pikiran untuk Hedging Antara-jenis BTC dan ETH Menggambar grafik berdasarkan nisbah harga, menganalisis perubahan nisbah harga, mencari ruang keuntungan. Strategi yang boleh dilaksanakan Tidak diketahui, rakan-rakan yang berminat boleh kaji.

oleh LittleDream

/*exchanges
A : BTC
B : ETH
*/

var RateUpDateTime = new Date().getTime()
var UpDateCyc = 60 * 60 * 1000
var SumInCyc = 0
var AddCounts = 1
var RateArray = []

var BTC_hold_amount = 0
var ETH_hold_amount = 0

var IDLE = 0
var PLUS = 1
var STATE = IDLE

var fee_btc = {
    buy : 0.2,    // 0.2 % , 千分之四
    sell : 0.2
}

var fee_eth = {
    buy : 0.2,
    sell : 0.2
}

var ModeStr = ["BOLL", "SMA"][Mode]

function CalcPriceForNoFee(price, fee, type){
    if(type == "buy"){
        return price * (1 - fee / 100)
    }else if(type == "sell"){
        return price * (1 + fee / 100)
    }
}

function loop(nowTime){
    var depthA = exchanges[0].GetDepth()
    var depthB = exchanges[1].GetDepth()
    var sma120 = null
    var sma10 = null
    
    var boll = null
    
    if(!depthA || !depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0){
        return    
    }
    
    var Rate = CalcPriceForNoFee((depthA.Bids[0].Price + depthA.Asks[0].Price) / 2, 0.2, "buy") / CalcPriceForNoFee((depthB.Bids[0].Price + depthB.Asks[0].Price) / 2, 0.2, "sell") 
        
    if(nowTime - RateUpDateTime > UpDateCyc){
        RateArray.push(Rate)
        
        $.PlotLine("avgRate", RateArray[RateArray.length - 2], RateUpDateTime)
        
        if(RateArray.length > 60){
            if(ModeStr == "SMA"){
                sma120 = talib.SMA(RateArray, 60)
                sma10 = talib.SMA(RateArray, 10)
            
                $.PlotLine("sma120", sma120[sma120.length - 2], RateUpDateTime)
                $.PlotLine("sma10", sma10[sma10.length - 2], RateUpDateTime)
            }else if(ModeStr == "BOLL"){            
                boll = TA.BOLL(RateArray, 20, 2.5)
                $.PlotLine("up", boll[0][boll[0].length - 2], RateUpDateTime)
                $.PlotLine("down", boll[2][boll[2].length - 2], RateUpDateTime)
            }
        }
        
        RateUpDateTime += UpDateCyc
        SumInCyc = 0
        AddCounts = 1
    }else{
        SumInCyc += Rate
        AddCounts++
        
        RateArray[RateArray.length - 1] = (SumInCyc / AddCounts)
        
        $.PlotLine("avgRate", RateArray[RateArray.length - 1], RateUpDateTime)
        if(RateArray.length > 60){
            if(ModeStr == "SMA"){
                sma120 = talib.SMA(RateArray, 60)
                sma10 = talib.SMA(RateArray, 10)
            
                $.PlotLine("sma120", sma120[sma120.length - 1], RateUpDateTime)
                $.PlotLine("sma10", sma10[sma10.length - 1], RateUpDateTime)
            }else if(ModeStr == "BOLL"){          
                boll = TA.BOLL(RateArray, 20, 2.5)
                $.PlotLine("up", boll[0][boll[0].length - 1], RateUpDateTime)
                $.PlotLine("down", boll[2][boll[2].length - 1], RateUpDateTime)
            }
        }
    }
    
    if(ModeStr == "SMA"){
        if(STATE == IDLE && (sma120 && sma10) && sma120[sma120.length - 2] > sma10[sma10.length - 2] && sma120[sma120.length - 1] < sma10[sma10.length - 1]){
            // PLUS
            var SellInfo = $.Sell(exchanges[1], 5)
            var sumMoney = SellInfo.price * SellInfo.amount
            var amount = _N(sumMoney / depthA.Asks[0].Price, 2)
            var BuyInfo = $.Buy(exchanges[0], amount)
        
            ETH_hold_amount = SellInfo.amount
            BTC_hold_amount = amount
            STATE = PLUS
            // throw "stop"  // ceshi
        }
    
        if(STATE == PLUS && (sma120 && sma10) && sma120[sma120.length - 2] < sma10[sma10.length - 2] && sma120[sma120.length - 1] > sma10[sma10.length - 1]){
            // COVER
            var BuyInfo = $.Buy(exchanges[1], ETH_hold_amount)
            var SellInfo = $.Sell(exchanges[0], BTC_hold_amount)
        
            ETH_hold_amount = 0
            BTC_hold_amount = 0
            STATE = IDLE
            Log(exchanges[0].GetAccount(), exchanges[1].GetAccount())
        }
    }
}




function main() {
    var AccountA = exchanges[0].GetAccount()
    var AccountB = exchanges[1].GetAccount()
    
    Log("AccountA:", AccountA, "AccountB:", AccountB)
    
    while(true){
        var beginTime = new Date().getTime()
        loop(beginTime)
        Sleep(500)
    }

}

Berkaitan

Lebih lanjut

hariTrader2018Jika anda mempunyai masalah, di mana fungsi PlotLine dalam kod di atas berasal?

anak lembuBerani menulis, hebat.

LogaPerjuangan Mimpi

Mimpi kecilMenggambar perpustakaan kelas baris template di dalamnya. Mengeksport fungsi, melaksanakan kod di dalam templat.

Mimpi kecilSaya tidak mahu menghalang orang lain daripada menulis, tetapi saya mahu mereka menulis, dan saya mahu mereka menulis, dan saya mahu mereka menulis.

2019 FMZ - Semua hak dilindungi